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Let's continue our journey in our current heuristic, always keeping in mind our objective. As new prices arrive, the algorithm responds with trading actions. These trading actions result in new players, or in closing some of the open players. In any case, the player cloud evolves in time, in...

Folio update. I have removed the unused layers of QID and FAZ. QID STK SMART PNL: 10.97, comms: 15.49, fills: 15 FAZ STK SMART PNL: 21.27, comms: 33.89, fills: 19 VXX and DGAZ are "at sleep". They will "wake up" in case of a surge...

At any time, a player has an (average fill) "price" and a "position" (or "size"), denoted by: Avg, Pos. The opening of a player is influenced by various factors related with the current status of the other-side subset of players and also the current status of its own subset of players. This...

Let's start examining some aspects the current structure of the s/h games that I am using. It's obvious that within this general architecture, with "player superposition" (and "memory-full stops") there is no limit to the number of possible heuristics and variants. Therefore, we aim to...

A quick folio update for Monday. During the weekend I have been doing some improvements to the game rule classes, to make their use more intuitive. I have also added some refinements for the SDX computations, which we will discuss later on. Some notes on the G-L curve (green dotted line). We...

s/h game rules We have introduced the concept of a scalping / hedging game, by saying that it is essentially a "computational method" (or an "algorithm" if you prefer) which has essentially the purpose of: 1. Scalping: Accumulate new profits due to positive scalps 2. Hedging: Keep...

End of our second week. Yesterday I have been adding a few more of those option structures we have already seen. In particular to: TNA, TZA, TBT, ERY. The last days have seen significant market moves (Reuters titles: "S&P 500 posts biggest weekly decline since 2012"), so we have been "loading"...

Scalping / Hedging games: “player superposition” Now that we have sketched some basic examples based on options to create “scalping corridors” which may be useful when combined with the “scalping hedging game”, it is time we focus on the algorithmic hedging mechanisms ("player...

A folio update, before start digging in some "theory" about the games: An interesting detail is that, even though we are "under water", surprisingly the "Net Liquidation Value" shown by the IB account view (and also the one communicated via API) is over 5.3K higher than when we started (cf...

Let's continue showing some of the initial folio management. Today, as anticipated, I added the option configuration for GDXJ. Using the same "scheme" we used for TZA: GDXJ (expiry: 20140829) ----------------------------------- +4 CALLs 50 (@ 0.45) Free scalping (short biased) -100 shares...

End of our first week (5 days trading). We have started placing the first players and take the first scalps. Looking at the instruments, QID, FAZ and TZA seems to have too much correlation. So at the first suitable occasion I will remove QID and FAZ. If some instruments are too similar, it's...

Let's now see an "inverse" example of "option configuration", this time with the intent of "protecting" against large moves upward. This time we use TZA (DIREXION DLY SM CAP BEAR 3X]), which, as usual, is being traded with a short position constraint and short "bias". We proceed just as we did...

And, as promised, here is a quick summary on how to add the "protective" options and shares, with the help of the application. What the application is essentially doing, based on the protection ratio that you select (4:1 in our example), is to scan all available option chains and find for you...

Let's now see one example of the "protective option configuration". I will show this process step by step in the next post, but let's first examine here, first of all, the final result of those steps, that is the whole complete "configuration", so when looking at the steps will be clear where...

I am going to show soon how to place a couple of "protective option/shares configurations", just as examples. Before doing that let's take a look at the current folio situation. (When we place the options, clearly we will have a sharp "drop" of the PNL curve, because we are paying in advance...

Now that the market is open we can complete our "example" by restoring the position on DGAZ. We had closed (buy) -10 shares at 4.85 and now we are selling them back at the new current bid: sell 10 @ 4.81 (then we can resume the "auto" mode.) In this case we obtain a small "loss" (clearly...

"Manual" orders We have introduced the concept of "player". We have seen that, leaving aside the philosophical and conceptual aspects, in very practical terms it works like an order which opens a position according to certain rules, and it also has the "built in" capability to preserve some...

Most of the inquiries I receive focus on the "player" concept and the "scalping / hedging rules". Let's start from there and from practical examples, by gradually explaining the methodological reasons behind this algorithmic architecture. I will use a method which goes from examples to...

Thank you very much Baron: it's my privilege.

New thread: applications and methodology discussion I am going to start a new thread with emphasis on hedge fund algorithmic (automated) management. In this thread, we explore and refine in detail hedging techniques by making a complete exploration, with particular emphasis on: - "Player...